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Morgan Stanley plans contingent buffer equity notes on S&P 500
By Marisa Wong
Madison, Wis., March 27 - Morgan Stanley plans to price 0% contingent buffer equity notes due April 16, 2014 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls below the initial level by more than 20% on any day during the life of the notes.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the contingent minimum return of 0% and the index return.
If a knock-out event has occurred, the payout will be par plus the index return, with full exposure to any losses.
In both cases, the payout is subject to a maximum return of 13.85%.
The notes (Cusip: 61761JEN5) are expected to price March 28 and settle April 3.
Morgan Stanley & Co. LLC is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as dealers.
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